simpleType "RollConventionEnum"
Namespace:
Defined:
globally in fpml-enum-5-3.xsd; see XML source
Used:
Simple Content Model
enumeration of xsd:token
Simple Content Restrictions:
Enumeration:
"EOM"
 - 
Rolls on month end dates irrespective of the length of the month and the previous roll day.
"FRN"
 - 
Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions.
"IMM"
 - 
IMM Settlement Dates. The third Wednesday of the (delivery) month.
"IMMCAD"
 - 
The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification.
"IMMAUD"
 - 
The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). One Sydney business day preceding the second Friday of the relevant settlement month.
"IMMNZD"
 - 
The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). The first Wednesday after the ninth day of the relevant settlement month.
"SFE"
 - 
Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month.
"NONE"
 - 
The roll convention is not required. For example, in the case of a daily calculation frequency.
"TBILL"
 - 
13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.
"1"
 - 
Rolls on the 1st day of the month.
"2"
 - 
Rolls on the 2nd day of the month.
"3"
 - 
Rolls on the 3rd day of the month.
"4"
 - 
Rolls on the 4th day of the month.
"5"
 - 
Rolls on the 4th day of the month.
"6"
 - 
Rolls on the 6th day of the month.
"7"
 - 
Rolls on the 7th day of the month.
"8"
 - 
Rolls on the 8th day of the month.
"9"
 - 
Rolls on the 9th day of the month.
"10"
 - 
Rolls on the 10th day of the month.
"11"
 - 
Rolls on the 11th day of the month.
"12"
 - 
Rolls on the 12th day of the month.
"13"
 - 
Rolls on the 13th day of the month.
"14"
 - 
Rolls on the 14th day of the month.
"15"
 - 
Rolls on the 15th day of the month.
"16"
 - 
Rolls on the 16th day of the month.
"17"
 - 
Rolls on the 17th day of the month.
"18"
 - 
Rolls on the 18th day of the month.
"19"
 - 
Rolls on the 19th day of the month.
"20"
 - 
Rolls on the 20th day of the month.
"21"
 - 
Rolls on the 21st day of the month.
"22"
 - 
Rolls on the 22nd day of the month.
"23"
 - 
Rolls on the 23rd day of the month.
"24"
 - 
Rolls on the 24th day of the month.
"25"
 - 
Rolls on the 25th day of the month.
"26"
 - 
Rolls on the 26th day of the month.
"27"
 - 
Rolls on the 27th day of the month.
"28"
 - 
Rolls on the 28th day of the month.
"29"
 - 
Rolls on the 29th day of the month.
"30"
 - 
Rolls on the 30th day of the month.
"MON"
 - 
Rolling weekly on a Monday.
"TUE"
 - 
Rolling weekly on a Tuesday.
"WED"
 - 
Rolling weekly on a Wednesday.
"THU"
 - 
Rolling weekly on a Thursday.
"FRI"
 - 
Rolling weekly on a Friday.
"SAT"
 - 
Rolling weekly on a Saturday.
"SUN"
 - 
Rolling weekly on a Sunday.

All Direct / Indirect Based Elements (2):
rollConvention (defined in CalculationPeriodFrequency complexType),
rollConvention (in periodicPayment)
Known Usage Locations
Annotation
The convention for determining the sequence of calculation period end dates. It is used in conjunction with a specified frequency and the regular period start date of a calculation period, e.g. semi-annual IMM roll dates.
See:  http://www.FpML.org
Type Definition Detail
Type Derivation Tree
xsd:token (restriction)
  RollConventionEnum
Derivation:
restriction of xsd:token
Facets:
enumeration:
"EOM"
 - 
Rolls on month end dates irrespective of the length of the month and the previous roll day.
"FRN"
 - 
Roll days are determined according to the FRN Convention or Eurodollar Convention as described in ISDA 2000 definitions.
"IMM"
 - 
IMM Settlement Dates. The third Wednesday of the (delivery) month.
"IMMCAD"
 - 
The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX). The second London banking day prior to the third Wednesday of the contract month. If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last trading day shall be the previous bank business day. Per Canadian Derivatives Exchange BAX contract specification.
"IMMAUD"
 - 
The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). One Sydney business day preceding the second Friday of the relevant settlement month.
"IMMNZD"
 - 
The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). The first Wednesday after the ninth day of the relevant settlement month.
"SFE"
 - 
Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second Friday of the (delivery) month.
"NONE"
 - 
The roll convention is not required. For example, in the case of a daily calculation frequency.
"TBILL"
 - 
13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S. (New York) holidays when it will occur on a Tuesday.
"1"
 - 
Rolls on the 1st day of the month.
"2"
 - 
Rolls on the 2nd day of the month.
"3"
 - 
Rolls on the 3rd day of the month.
"4"
 - 
Rolls on the 4th day of the month.
"5"
 - 
Rolls on the 4th day of the month.
"6"
 - 
Rolls on the 6th day of the month.
"7"
 - 
Rolls on the 7th day of the month.
"8"
 - 
Rolls on the 8th day of the month.
"9"
 - 
Rolls on the 9th day of the month.
"10"
 - 
Rolls on the 10th day of the month.
"11"
 - 
Rolls on the 11th day of the month.
"12"
 - 
Rolls on the 12th day of the month.
"13"
 - 
Rolls on the 13th day of the month.
"14"
 - 
Rolls on the 14th day of the month.
"15"
 - 
Rolls on the 15th day of the month.
"16"
 - 
Rolls on the 16th day of the month.
"17"
 - 
Rolls on the 17th day of the month.
"18"
 - 
Rolls on the 18th day of the month.
"19"
 - 
Rolls on the 19th day of the month.
"20"
 - 
Rolls on the 20th day of the month.
"21"
 - 
Rolls on the 21st day of the month.
"22"
 - 
Rolls on the 22nd day of the month.
"23"
 - 
Rolls on the 23rd day of the month.
"24"
 - 
Rolls on the 24th day of the month.
"25"
 - 
Rolls on the 25th day of the month.
"26"
 - 
Rolls on the 26th day of the month.
"27"
 - 
Rolls on the 27th day of the month.
"28"
 - 
Rolls on the 28th day of the month.
"29"
 - 
Rolls on the 29th day of the month.
"30"
 - 
Rolls on the 30th day of the month.
"MON"
 - 
Rolling weekly on a Monday.
"TUE"
 - 
Rolling weekly on a Tuesday.
"WED"
 - 
Rolling weekly on a Wednesday.
"THU"
 - 
Rolling weekly on a Thursday.
"FRI"
 - 
Rolling weekly on a Friday.
"SAT"
 - 
Rolling weekly on a Saturday.
"SUN"
 - 
Rolling weekly on a Sunday.
XML Source (w/o annotations (47); see within schema source)
<xsd:simpleType name="RollConventionEnum">
<xsd:restriction base="xsd:token">
<xsd:enumeration value="EOM"/>
<xsd:enumeration value="FRN"/>
<xsd:enumeration value="IMM"/>
<xsd:enumeration value="IMMCAD"/>
<xsd:enumeration value="IMMAUD"/>
<xsd:enumeration value="IMMNZD"/>
<xsd:enumeration value="SFE"/>
<xsd:enumeration value="NONE"/>
<xsd:enumeration value="TBILL"/>
<xsd:enumeration value="1"/>
<xsd:enumeration value="2"/>
<xsd:enumeration value="3"/>
<xsd:enumeration value="4"/>
<xsd:enumeration value="5"/>
<xsd:enumeration value="6"/>
<xsd:enumeration value="7"/>
<xsd:enumeration value="8"/>
<xsd:enumeration value="9"/>
<xsd:enumeration value="10"/>
<xsd:enumeration value="11"/>
<xsd:enumeration value="12"/>
<xsd:enumeration value="13"/>
<xsd:enumeration value="14"/>
<xsd:enumeration value="15"/>
<xsd:enumeration value="16"/>
<xsd:enumeration value="17"/>
<xsd:enumeration value="18"/>
<xsd:enumeration value="19"/>
<xsd:enumeration value="20"/>
<xsd:enumeration value="21"/>
<xsd:enumeration value="22"/>
<xsd:enumeration value="23"/>
<xsd:enumeration value="24"/>
<xsd:enumeration value="25"/>
<xsd:enumeration value="26"/>
<xsd:enumeration value="27"/>
<xsd:enumeration value="28"/>
<xsd:enumeration value="29"/>
<xsd:enumeration value="30"/>
<xsd:enumeration value="MON"/>
<xsd:enumeration value="TUE"/>
<xsd:enumeration value="WED"/>
<xsd:enumeration value="THU"/>
<xsd:enumeration value="FRI"/>
<xsd:enumeration value="SAT"/>
<xsd:enumeration value="SUN"/>
</xsd:restriction>
</xsd:simpleType>

XML schema documentation generated with DocFlex/XML 1.8.6b2 using DocFlex/XML XSDDoc 2.5.1 template set. All content model diagrams generated by Altova XMLSpy via DocFlex/XML XMLSpy Integration.